Piotroski F-Score Investing - Change from daily to monthly rebalancing

To modify the rebalancing frequency to monthly in the Piotroski F-Score Investing strategy, you need to adjust the Portfolio Construction Model (PCM) and the Alpha Model.

In the Alpha Model, you need to add a condition to emit insights only once per month. You can do this by adding a property to keep track of the last month an insight was emitted and then check if the current month is different from the last month an insight was emitted. If it is, emit the insights and update the last month property. Here is an example of how you can do this:

class MyAlphaModel(AlphaModel):
    def __init__(self, *args, **kwargs):
        ...
        self.lastMonth = -1 # Add this property

    def Update(self, algorithm, data):
        if data.Time.month == self.lastMonth: # we add a monthly guard here
            return []
        self.lastMonth = data.Time.month
        ...

In the Portfolio Construction Model, you need to remove the daily rebalancing and set it to None. Here is an example of how you can do this:

self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(lambda time: None))

Finally, you need to change the insight duration to the end of the month. Here is an example of how you can do this:

Expiry.EndOfMonth(data.Time) - timedelta(seconds=1)

Please note that these code snippets are based on the information provided in the knowledge sources and may need to be adjusted to fit the specific implementation of the Piotroski F-Score Investing strategy.

Knowledge sources:

• Source 1
• Source 2
• Source 3
• Source 4
• Source 5
• Source 6
• Source 7
• Source 8